I am trying to create an HDRI SkyBox out of 6 textures but after I create the cubemap with Assets → Legacy → Cubemap and drag it in the HDRI Sky I get an all white environment. Is this a problem with the textures or maybe I am missing some setting?
The legacy cubemap pipeline of dragging six separate textures into a cubemap asset in Unity does not support HDR.
To get HDR (and better filtering as a bonus), you need to import your cubemap as a single image, not as six separate images.
As described in the docs, you need to lay out your 6 views into one image file with one of these arrangements:
(I've omitted the Equirectangular/LatLong and SphereMap options since they'd require re-projecting your images instead of just pasting them side-by-side).
You can use any image editing software you like to do this arrangement.
Place the resulting single image into your Assets folder, and in its import settings, choose Texture Type: Default, Shape: Cube.
The result will be a Cubemap asset that you can use as your sky.